Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0065
Annualized Std Dev 0.1461
Annualized Sharpe (Rf=0%) -0.0443

Row

Daily Return Statistics

Close
Observations 4549.0000
NAs 1.0000
Minimum -0.1329
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.1317
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0092
Skewness -0.1251
Kurtosis 36.9946

Downside Risk

Close
Semi Deviation 0.0066
Gain Deviation 0.0071
Loss Deviation 0.0077
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0066
Downside Deviation (0%) 0.0066
Maximum Drawdown 0.4637
Historical VaR (95%) -0.0125
Historical ES (95%) -0.0213
Modified VaR (95%) -0.0086
Modified ES (95%) -0.0086
From Trough To Depth Length To Trough Recovery
2004-03-11 2008-10-10 2012-11-12 -0.4637 2139 1113 1026
2012-11-26 2020-03-23 NA -0.3294 2094 1843 NA
2003-06-05 2003-08-11 2004-03-09 -0.1318 184 46 138
2002-11-29 2003-01-27 2003-05-22 -0.0662 113 35 78
2012-11-13 2012-11-15 2012-11-19 -0.0237 5 3 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA NA -0.3 0 -0.3
2003 0.7 0 1.3 0.5 -0.1 0.6 -2.8 0.4 0 0.7 0.5 0.5 2.3
2004 0.5 0.9 -0.2 -1.5 -0.5 1.6 0.5 0.3 0.4 0.2 -2.2 0.3 0
2005 -0.5 0.6 -0.1 1 0.4 0.7 -1.6 0.7 0.2 -0.1 0.1 0 1.4
2006 0.5 -0.4 0.6 0 2.5 -0.2 0.1 0.3 0.8 0.4 0.4 0.8 6
2007 -0.3 -0.2 0.2 0 -0.9 0.6 0.7 0 0.8 0.4 -0.1 0.4 1.5
2008 0.2 -1.4 0.6 0.1 -0.4 -0.8 0.9 -0.5 2 0.4 -1.1 0.6 0.5
2009 0 0 0.3 0.7 -1.1 0.2 0.4 0.1 2.2 -0.1 1.2 1.1 5
2010 -0.1 1.9 0.4 0 -0.2 0.7 0.1 -0.1 -0.3 -1.3 0.7 0.8 2.7
2011 0.3 0.5 0.3 0.2 0.7 -0.2 0.7 0.3 0 0.4 0 0.1 3.4
2012 0.5 -0.1 -0.5 -0.5 0 0.3 0.2 0.5 -0.3 0.5 -0.1 0.3 0.9
2013 0.3 -0.5 -0.1 0.2 -1.9 0.7 -1.1 -0.6 -0.3 -0.9 0.4 -0.7 -4.5
2014 0.6 -0.1 0 0 0.2 -0.2 0.1 -0.2 0.3 0.3 0.5 -0.5 1
2015 0.1 0.1 0.1 -0.5 0.7 0.3 1 -0.2 0.1 0 0.4 0.5 2.6
2016 0.4 0.5 -0.1 0.2 0.9 0.6 -0.3 0.1 -0.2 0.3 -1.1 0.2 1.3
2017 -0.2 -0.1 0.4 0.1 0.2 -0.2 0.1 0.4 0.3 0.2 0.4 0.8 2.3
2018 0 -0.1 0.2 -0.6 -0.2 0.3 0.1 -0.2 -0.1 0.2 0.7 0.3 0.7
2019 0.2 0.2 0.2 0.6 0.1 0.1 0.8 0.3 0.1 0.4 0.4 0.1 3.6
2020 -0.2 -1.5 -3.5 0.7 0.4 0.2 0 0.1 0 0 0.2 0.2 -3.5
2021 0.1 0.5 0.1 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-11-22  15.1 SPY    93.4 -7.10e-3  0.0221    0.0573  -0.0193   -0.192   -0.345       NA <NA>     NA    NA       NA
2 2002-11-25  15   SPY    93.5  6.00e-4  0.0332    0.0364  -0.0072   -0.194   -0.344       NA <NA>     NA    NA       NA
3 2002-11-26  15.0 SPY    91.7 -1.90e-2  0.0148    0.0233  -0.0043   -0.206   -0.356       NA <NA>     NA    NA       NA
4 2002-11-27  15.1 SPY    94.3  2.81e-2  0.0207    0.0645   0.0232   -0.168   -0.332       NA <NA>     NA    NA       NA
5 2002-11-29  15.0 SPY    94.0 -3.20e-3 -0.00120   0.0509   0.024    -0.182   -0.338       NA <NA>     NA    NA       NA
6 2002-12-02  15   SPY    94.1  1.60e-3  0.0076    0.0634   0.0663   -0.175   -0.334       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart